Periodic evaluation of defined-contribution pension fund: A dynamic risk measure approach

This paper introduces an innovative framework for the periodic evaluation of defined-contribution pension funds. The performance of the pension fund is evaluated not only at retirement, but also within the interim periods. In contrast to the traditional literature, we set the dynamic risk measure as the criterion and manage the tail risk of the pension fund dynamically. To effectively interact with the stochastic environment, a model-free reinforcement learning algorithm is proposed to search fo...